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Forecasting the volatility of crude oil futures using high-frequency data : further evidence

Ma, Feng; Wei, Yu; Chen, Wang; He, Feng - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 653-678

Persistent link: https://www.econbiz.de/10011949867

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012203664

Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries

Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

Persistent link: https://www.econbiz.de/10013464376

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Global oil market and the US stock returns

Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

Persistent link: https://www.econbiz.de/10011391816

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - In: The journal of finance : the journal of the American … 72 (2017) 6, pp. 2717-2758

Persistent link: https://www.econbiz.de/10012160151

Disentangling continuous volatility from jumps in long-run risk-return relationships

Jacquier, Eric; Okou, Cédric - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 544-583

Persistent link: https://www.econbiz.de/10010391947

The impact of oil prices on sectoral equity returns : evidence from UK and US stock market data

Falzon, Joseph; Castillo, Daniel - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 247-268

Persistent link: https://www.econbiz.de/10011949614